README.md

Introduction

This repository contains the code to reproduce the IQC results from the paper A Unified Analysis of First-Order Methods for Smooth Games via Integral Quadratic Constraints.

Requirements

We used CVXPY package along with MOSEK solver in the paper.

To install CVXPY and MOSEK:

pip install cvxpy
pip install mosek

• Note that you will need the MOSEK license. You can request a free academic license if you are a student or faculty. For license issues, please check the instruction here.
• You could also use other installed solvers in CVXPY, however the results would be quite different. We found that MOSEK solver is stable numerically and runs faster than other packages.

Citation

To cite this work, please use

@article{zhang2020unified,
  title={A Unified Analysis of First-Order Methods for Smooth Games via Integral Quadratic Constraints},
  author={Zhang, Guodong and Bao, Xuchao and Lessard, Laurent and Grosse, Roger},
  journal={arXiv preprint arXiv:2009.11359},
  year={2020}
}